Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

Scrambling for Dollars: International Liquidity, Banks and Exchange Rates

Charles ENGEL, Javier BIANCHI, Saki BIGIO
We develop a theory of exchange rate fluctuations arising from financial institutions’ demand for dollar liquid assets. Financial flows are unpredictable and may leave banks “scrambling for dollars.” Because of settlement frictions in interbank markets, a precautionary demand for dollar reserv...
Keywords: exchange rates, liquidity premia, monetary policy
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2021

The Original Sin Redux: A Model Based Evaluation

Nikhil PATEL, Boris HOFMANN, Steve Pak Yeung WU
This paper studies the "Original sin redux" hypothesis in a two-country New Keynesian-DSGE framework. Emerging economies have been able to overcome the "original sin" and issue debt in local currency in recent years. We show that while this helps mitigate the vulnerability to external shocks, it doe...
Keywords: Foreign exchange, Currency mismatch, Emerging Economies
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Why Working From Home Will Stick

Steven J. DAVIS, Nicholas A. BLOOM, Jose Maria BARRERO
COVID-19 drove a mass social experiment in working from home (WFH). We survey more than 30,000 Americans over multiple waves to investigate whether WFH will stick, and why. Our data say that 20 percent of full workdays will be supplied from home after the pandemic ends, compared with just 5 percent ...
Keywords: COVID, working-from-home
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Trade sentiment and the stock market: New evidence based on big data textual analysis of Chinese media

Leonardo GAMBACORTA, Dora XIA, Chao HE, Marlene AMSTAD
Trade tensions between China and US have played an important role in swinging global stock markets but effects are difficult to quantify. We develop a novel trade sentiment index (TSI) based on textual analysis and machine learning applied on a big data pool that assesses the positive or negative to...
Keywords: Stock Returns, trade, sentiment, big data, neural network, machine learning
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Webinar Series

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Senior Fellows/Fellows, Pandemic

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May 2020

The Role of Corporate Culture in Bad Times: Evidence from the COVID-19 Pandemic

Kai LI, Xing LIU, Feng MAI, Tengfei ZHANG
After fitting a topic model to 40,927 COVID-19-related paragraphs in 3,581 earnings calls over the period January 22 to April 30, 2020, we obtain firm-level measures of exposure and response related to COVID-19 for 2,894 U.S. firms. We show that despite the large negative impact of COVID-19 on their...
Keywords: corporate culture, COVID-19, Pandemic, demand, supply chain, employees, community, digital transformation, new product development, Human capital, machine learning, topic modeling, correlated topic model
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